A New Approach to Estimating Portfolio-Balance Models of the Yield Curve
Proposes a two-step estimator to recover portfolio-balance model parameters from Gaussian term structure models, identifying shocks to hedging risk premiums and risk-bearing capacity.
Featured in No. 133 on 2 Oct 2026 · 4 days after release
- Released
- 28 Sep 2026
- First featured
- No. 133 · 2 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- RePEc:bca:bocawp:26-33
- Authors
- Antonio Diez de los Rios
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).